Bundle Method for optimizing convex and non convex risks.

This code implements an algorithm named NRBM (Non convex Regularized Bundle Methods) that we designed to deal efficiently with regularized non convex risks as often encountered in the machine learning field. It is a generic code able to deal with convex, non convex, smooth and non smooth risks.

The code is available for download:

Please cite either the ICML or the JMLR paper below if you use our code (ICML bibtex).

Three documents are related to the method.


Manager : Thierry Artieres